While using a private steam room means you have more leeway in what you wear to sweat, using a public steam room in a gym requires more extensive etiquette. Knowing that a steam room is shared by a number of people means taking pains to protect yourself from germs and bacteria while keeping the steam room clean for communal use. Talk to the gym staff to see what is normally acceptable in the steam room before you begin using it after a workout.
Since you sweat profusely while using a sauna, you may choose to go without clothing in order to avoid sweating through your clothes. While it's typically fine to go without regular clothes in the steam room, it doesn't mean you should bare it all. Always bring a towel, supplied by many gyms, to avoid sitting directly on the seats in the steam room. This can help prevent the spread of bacteria from one body to another. Wrap a towel around your body and keep it wrapped, creating a clean shield between your body and the steam room surfaces that other patrons have touched.
If you're uncomfortable with the idea of going nude in a public steam room, it's fine to sit in a swimsuit. Since you should wear as little clothing as possible in a steam room, a swimsuit makes for a compromise between comfort and modesty. When selecting a swimsuit for a steam room, choose one without metal fasteners or embellishments, which can become too hot when exposed to the heat of the steam room. You'll still want to bring a towel to sit on for comfort and cleanliness when wearing a swimsuit.
It's tempting to enter a steam room barefoot for comfort, but going barefoot in a communal steam room may be seen as bad form. The bacteria and germs that you garner while walking barefoot through a health club can then be added to the warm, moist environment of a steam room, ideal for bacterial reproduction. Instead of going sans shoes, devote a pair of cheap, rubber flip flops to steam room usage alone. You can then protect your feet from dirt and germs without bringing dirty street shoes into the sauna.
The type of clothing you wear in the steam room may depend on your gym rules. For instance, if the steam room is shared by members of both sexes, the health club will prohibit sitting in the steam room naked, while gyms that have devoted steam rooms for each gender may have less stringent rules. Always check with the front desk and read any posted signs before you begin using a steam room to ensure you're doing so properly.